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HQLA Collateral and Liquidity Swaps Reporting

HQLA Collateral and Liquidity Swaps Reporting


Status: Best Practice Finalised, Last Updated: 26/04/2021

How should collateral swaps, liquidity swaps and other collateral transformation transactions be reported?

Best Practice:
See related Best Practice: SFTR-280 .

Collateral swaps and liquidity swaps should be reported. These and similar transactions such as collateral upgrade trades or bonds borrowed are forms of collateral transformation, whereby a holder of one type of security temporarily exchanges that security for another type.

A common motive for collateral transformation is to secure a High Quality Liquid Asset (HQLA) for the purpose of meeting the Liquidity Coverage Ratio (LCR).

Collateral transformation can be performed by either:

  • securities borrowing transaction, in which security X is given as collateral and security Y is received as a loaned security, or;

  • reverse repo of security A and a repo of security Y for the same purchase prices (but usually different repo rates) executed back to back.

Both of the above examples of a collateral liquidity swaps should be reported as two separate transactions, as they will have generated exclusive UTIs.

Collateral swaps, liquidity swaps, and similar collateral transformations should be reported as either back-to-back but unrelated, reverse repos, repos, or as securities lending transactions against non-cash collateral. (SFTR-270)


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